Reflected fractional Brownian motion in one and higher dimensions

Abstract

Fractional Brownian motion (FBM), a non-Markovian self-similar Gaussian stochastic process with long-ranged correlations, represents a widely applied, paradigmatic mathematical model of anomalous diffusion. We report the results of large-scale computer simulations of FBM in one, two, and three dimensions in the presence of reflecting boundaries that confine the motion to finite regions in space. Generalizing earlier results for finite and semi-infinite one-dimensional intervals, we observe that the interplay between the long-time correlations of FBM and the reflecting boundaries leads to striking deviations of the stationary probability density from the uniform density found for normal diffusion. Particles accumulate at the boundaries for superdiffusive FBM while their density is depleted at the boundaries for subdiffusion. Specifically, the probability density $P$ develops a power-law singularity, $P\sim r^{\kappa }$, as function of the distance $r$ from the wall. We determine the exponent $\kappa$ as function of the dimensionality, the confining geometry, and the anomalous diffusion exponent $\alpha$ of the FBM. We also discuss implications of our results, including an application to modeling serotonergic fiber density patterns in vertebrate brains.

14 pages, 20 figures included, final version as published